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  • 1
    Online Resource
    Online Resource
    Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
    ISSN: 1860-5664
    Language: English
    Pages: 1 Online-Ressource (25 Seiten)
    Series Statement: 2012,27
    DDC: 300
    Keywords: temperature ; Weather derivatives ; seasonal variation ; risk premia ; Sozialwissenschaften
    Abstract: Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR) are often not incorporated. We adopt a risk neutral approach (for each location) that allows the incorporation of meteorological forecasts in the framework of WD pricing. We study weather Risk Premiums (RPs) implied from either the information MPR gain or the meteorological forecasts. The size of RPs is interesting for investors and issuers of weather contracts to take advantages of geographic diversification, hedging effects and price determinations. By conducting an empirical analysis to London and Rome WD data traded at the Chicago Mercantile Exchange (CME), we find out that either incorporating the MPR or the forecast outperforms the standard pricing techniques.
    URL: Volltext  (kostenfrei)
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  • 2
    Online Resource
    Online Resource
    Berlin : Albrecht Daniel Thaer-Institut für Agrar- und Gartenbauwissenschaften
    Language: English
    Pages: 1 Online-Ressource (23 Seiten)
    DDC: 630
    Keywords: Farmland ; lease rate ; term structure ; hedonic price model ; privatization ; Landwirtschaft und verwandte Bereiche ; Sozialwissenschaften
    Abstract: This paper applies the concept of a term structure to agricultural land rental prices. Based on theoretical considerations, we develop a hedonic pricing model that allows for different shapes of the term structure curve while controlling for other price-relevant characteristics. We apply this model to land lease contracts in Saxony-Anhalt concluded between 2002 and 2010. We find an upward-sloping term structure at the beginning, that is, market participants expected increasing rental prices. For the subsequent years, however, we detect a singlehumped term structure. Hence, market participants revised their expectations and assumed a decline of land rental prices in the long-term.
    URL: Volltext  (kostenfrei)
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